A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets

DOI10.1007/S10915-009-9270-8MaRDI QIDQ618451zbMATHOpenAlexFDO

Authors Wuming Zhu, David A. Kopriva

Publication date 16 January 2011

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10915-009-9270-8

zbMATH Keywords

Black-Scholesspectral elementmultiple asset options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• scientific article; zbMATH DE number 1953444 (Why is no real title available?)
• A spectral element method for fluid dynamics: Laminar flow in a channel expansion
• A spectral element method to price European options. I. Single asset with and without jump diffusion
• Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
• Construction of curvilinear co-ordinate systems and applications to mesh generation
• Implicit-explicit numerical schemes for jump-diffusion processes
• Some mathematical results in the pricing of American options
• Spectral Methods
• Spectral Methods
• The pricing of options and corporate liabilities

Cited in

(17)

• Pseudospectral methods for pricing options
• A spectral element approximation to price European options with one asset and stochastic volatility
• Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
• Legendre rational pseudospectral method for Black-Scholes equation
• Spectral element method for parabolic initial value problem with non-smooth data: analysis and application
• A spectral element method to price European options. I. Single asset with and without jump diffusion
• Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
• A spectral element method using the modal basis and its application in solving second-order nonlinear partial differential equations
• An efficient computational algorithm for pricing European, barrier and American options
• scientific article; zbMATH DE number 7267251 (Why is no real title available?)
• An averaged vector field Legendre spectral element method for the nonlinear Schrödinger equation
• Nonconforming least-squares spectral element method for European options
• Spectral approximation of infinite-dimensional Black-Scholes equations with memory
• Efficient Spectral-Galerkin Method for Pricing Asian Options
• A Legendre spectral element method on a large spatial domain to solve the predator-prey system modeling interacting populations

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